Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0509
Annualized Std Dev 0.2095
Annualized Sharpe (Rf=0%) 0.2432

Row

Daily Return Statistics

Close
Observations 5160.0000
NAs 1.0000
Minimum -0.1155
Quartile 1 -0.0051
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0062
Maximum 0.1003
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0132
Skewness -0.1477
Kurtosis 8.1559

Downside Risk

Close
Semi Deviation 0.0096
Gain Deviation 0.0093
Loss Deviation 0.0105
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.6579
Historical VaR (95%) -0.0207
Historical ES (95%) -0.0325
Modified VaR (95%) -0.0198
Modified ES (95%) -0.0325
From Trough To Depth Length To Trough Recovery
2000-09-05 2009-03-09 2014-02-27 -0.6579 3367 2115 1252
2020-02-20 2020-03-23 2020-07-06 -0.3235 95 23 72
2018-10-02 2018-12-24 2019-04-23 -0.2097 139 58 81
2015-07-21 2016-02-11 2016-07-20 -0.1534 253 143 110
2020-09-03 2020-09-23 2020-12-01 -0.1122 62 14 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA 2 1.5 -2.5 3.4 2.4 -0.8 6.1
2001 -1.4 -2.5 0.2 1.6 0.6 1.7 1 0.1 -0.3 1.4 0.4 -1.4 1.3
2002 -0.7 2.2 -0.5 0.2 0.8 -1.5 -1.3 0.1 3.2 1.9 -0.4 -0.3 3.7
2003 0.9 1.4 0.5 0.1 1.8 0.4 -1 0.5 2.2 0.7 1.2 0 8.8
2004 -0.5 0.9 0 -0.4 -0.2 -1.4 0 1.2 1.7 -0.3 1.7 -0.5 2
2005 0.5 0.5 -0.7 0.8 0.9 0.2 0.1 -0.8 0.4 0.3 1.3 -0.7 3
2006 0.5 0.7 -0.2 -0.5 1.6 0 -0.9 0.5 -0.5 -0.9 -0.6 -0.2 -0.5
2007 0.5 -0.4 0.2 0.2 0.2 -0.1 0.7 1.1 1.4 -2 0.2 -0.7 1.3
2008 1.5 -2.4 3.1 1.9 0.4 0.3 -0.7 -1.3 -1.2 1.7 -8.1 1.2 -4
2009 -2.3 -1.3 1.5 0.4 3.1 0.5 0 -1.8 -2.3 -2.3 1.3 -1.1 -4.4
2010 1 1.1 0.4 -1.6 -1.1 -0.1 0 2.8 0.2 0.1 2.2 -0.2 4.9
2011 1.6 -1.6 0.4 0.2 -2.2 1.4 -0.5 -1.2 -2.4 -2.5 0 -0.4 -7.1
2012 0.9 0.8 0.2 0.3 -2.7 2.6 -0.5 0.5 0.1 1.3 -0.1 1.8 5.3
2013 0.9 0.3 -0.6 -0.9 -1.3 1.1 1.2 -0.7 1 0.1 0.1 0.5 1.8
2014 -0.6 0 1.1 0.2 0.1 1 -0.2 0.5 -1.5 1.2 -1.1 -0.9 -0.2
2015 -1.2 -0.4 -0.7 1.2 0 0.8 0.2 -2.7 0.3 -0.4 0.9 -1 -3
2016 0.3 2.4 0.8 -0.5 0.3 0.5 0.2 0.1 0.6 -0.8 -0.9 -0.7 2.3
2017 0.2 1.3 0 0.4 0.6 0.2 0.1 0.1 0.5 0 -0.3 -0.5 2.6
2018 -0.3 -1.4 1.6 0.7 1.3 0.1 0.3 0.1 0.3 1.2 0.9 1 5.8
2019 0 0.8 1 -0.9 -1.3 0.8 -0.5 -0.2 -1 0.6 -0.4 0.1 -0.9
2020 -1.9 -0.3 -4.2 -2.5 0.5 1 1.3 1.4 1 -1.8 1.2 0.4 -4
2021 2.3 2.5 0.4 NA NA NA NA NA NA NA NA NA 5.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-07-28  32.2 SPY    142. -0.0226  -0.0379  -0.0238  -0.0207   0.0704       NA       NA <NA>     NA    NA       NA
2 2000-07-31  32.8 SPY    143.  0.0057  -0.0268  -0.0089  -0.0283   0.074        NA       NA <NA>     NA    NA       NA
3 2000-08-02  33.1 SPY    145.  0.005   -0.0088  -0.0182   0.021    0.107        NA       NA <NA>     NA    NA       NA
4 2000-08-03  32   SPY    146.  0.0069   0.0015   0.0067   0.0267   0.105        NA       NA <NA>     NA    NA       NA
5 2000-08-04  33.2 SPY    146.  0.0054   0.0301   0.0043   0.0198   0.123        NA       NA <NA>     NA    NA       NA
6 2000-08-08  33.7 SPY    149.  0.0038   0.0334   0.0057   0.0522   0.156        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart